VAR and VEC. Using Stata. VAR: Vector Autoregression. Assumptions: y t : Stationary K-variable vector v : K constant parameters vector A j : K by K parameters matrix, j=1,…,p u t : i.i.d.( 0 , S ) Trend may be included: d t, where d is K by 1 Exogenous variables X may be added.
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